📊 Backtest Report
Summary
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BACKTEST SUMMARY REPORT
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CAPITAL PERFORMANCE
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Initial Capital: $10,000.00
Final Capital: $9,936.83
Net P&L: $-63.17
Total Return: -0.63%
TRADE STATISTICS
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Total Trades: 361
Winning Trades: 24
Losing Trades: 337
Win Rate: 6.65%
Gross Profit: $0.82
Gross Loss: $64.00
Average Win: $0.03
Average Loss: $0.19
RISK METRICS
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Profit Factor: 0.01
Expectancy: $-0.17
Avg Risk/Reward: 0.18
Sharpe Ratio: -29.24
Sortino Ratio: -0.10
Omega Ratio: 0.10
Calmar Ratio: -1.00
DRAWDOWN ANALYSIS
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Maximum Drawdown: -0.63%
Recovery Factor: -1.00
Ulcer Index: 0.30
EXECUTION QUALITY
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Average MAE: -0.03%
Average MFE: 0.01%
Total Commission: $9.09
Total Slippage: $22.72
ADVANCED METRICS
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Kelly Criterion: 0.00%
Tail Ratio: 0.00
Max Consecutive Wins: 3
Max Consecutive Losses: 282
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Performance Metrics
| Metric |
Value |
| Initial Capital |
$10,000.00 |
| Final Capital |
$9,936.83 |
| Net P&L |
$-63.17 |
| Return % |
-0.63% |
| Total Trades |
361 |
| Winning Trades |
24 |
| Losing Trades |
337 |
| Win Rate |
6.65% |
| Profit Factor |
0.01 |
| Sharpe Ratio |
-29.24 |
| Max Drawdown |
-0.63% |
| Recovery Factor |
-1.00 |
| Calmar Ratio |
-1.00 |
| Average Win |
$0.03 |
| Average Loss |
$0.19 |
| Expectancy |
$-0.17 |
| Avg Risk/Reward |
0.18 |
| Avg MAE |
-0.03% |
| Avg MFE |
0.01% |
| Sortino Ratio |
-0.10 |
| Omega Ratio |
0.10 |
| Kelly Criterion |
0.00% |
| Max Consecutive Wins |
3 |
| Max Consecutive Losses |
282 |
Visual Analysis